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Rank

Predicted Beta

Idiosyncratic Volatility

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Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 19 18 17
Score 6.85 6.43 6.54
Market Cap (Millions USD) 59.07 57.45 56.12
Predicted Beta 1.37 1.35 1.44
Idiosyncratic Volatility 7.72 5.39 8.54

Annualized return and volatility

JHMT
Annualized Return 0.2158
Annualized Std Dev 0.1787
Annualized Sharpe (Rf=0%) 1.2074

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Daily Return Statistics

JHMT
Observations 1083.0000
NAs 4031.0000
Minimum -0.0548
Quartile 1 -0.0036
Median 0.0005
Arithmetic Mean 0.0008
Geometric Mean 0.0008
Quartile 3 0.0063
Maximum 0.0506
SE Mean 0.0003
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0015
Variance 0.0001
Stdev 0.0113
Skewness -0.4834
Kurtosis 3.3699

Downside Risk

JHMT
Semi Deviation 0.0084
Gain Deviation 0.0074
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0128
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.2343
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0286
Modified VaR (95%) -0.0184
Modified ES (95%) -0.0318
From Trough To Depth Length To Trough Recovery
2018-08-31 2018-12-24 2019-03-21 -0.2343 141 81 60
2015-12-03 2016-02-09 2016-07-12 -0.1747 154 47 107
2019-04-25 2019-06-03 2019-07-12 -0.1207 56 28 28
2018-03-13 2018-04-02 2018-06-05 -0.1042 60 15 45
2018-01-29 2018-02-08 2018-02-26 -0.1004 20 9 11

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec JHMT
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA NA NA NA NA NA NA NA NA NA NA
2007 NA NA NA NA NA NA NA NA NA NA NA NA NA
2008 NA NA NA NA NA NA NA NA NA NA NA NA NA
2009 NA NA NA NA NA NA NA NA NA NA NA NA NA
2010 NA NA NA NA NA NA NA NA NA NA NA NA NA
2011 NA NA NA NA NA NA NA NA NA NA NA NA NA
2012 NA NA NA NA NA NA NA NA NA NA NA NA NA
2013 NA NA NA NA NA NA NA NA NA NA NA NA NA
2014 NA NA NA NA NA NA NA NA NA NA NA NA NA
2015 NA NA NA NA NA NA NA NA -0.4 0.0 0.9 0.0 0.5
2016 0.7 2.7 0.6 0.0 0.4 1.1 0.8 0.1 0.0 -1.3 -3.1 0.0 1.8
2017 0.2 1.5 0.0 0.7 0.5 0.0 0.3 0.0 0.0 -0.2 -0.4 0.0 2.6
2018 -0.1 -1.4 0.0 0.2 1.7 0.0 0.2 0.0 -0.3 1.0 0.0 0.0 1.4
2019 0.6 0.6 1.8 -0.8 0.0 1.7 -1.0 0.0 -1.3 1.3 0.0 -0.1 2.8

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Rolling Performance Chart

Snail Trail Chart